A shorted-lived widening and an absence of liquidity is what I have noticed. I am not sure how accurate my programming would be in capturing this from book data. When I see this it can denote a minor change in a trading range. I am thinking that upon see this event, it may be a good time to enter the market and trade in a tight range. Following minor events of this sort seem safe, however the major ones, when volatility significantly increases is dangerous. I am not sure how one can avoid getting nuked by a flash crash.
On Wednesday, 1 August 2012 10:58:06 UTC-7, nonlinear wrote: > > Has anyone created a strategy that uses a statistic measuring >> the difference of bid and ask? I want to develop a mean reverting strategy >> that would use this. I believe when the bid ask spread expands the market >> is experiencing and increase in volatility. >> >> > Since you mention the ES, from what I've seen the bid/ask spread very > rarely exceeds one tick during the regular trading hours. I have not > analyzed the Fed days specifically, but what I'd expect is that while you > may see the widening of the spread in the minutes surrounding the > announcements, it would be very short-lived. > > -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To view this discussion on the web visit https://groups.google.com/d/msg/jbooktrader/-/EgANqbZ4l2gJ. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
